A multilevel approach to control variates

DOI10.21314/JCF.2009.201zbMath1184.91202OpenAlexW3121345254MaRDI QIDQ3404355

Adam L. Speight

Publication date: 8 February 2010

Published in: The Journal of Computational Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.21314/jcf.2009.201

zbMATH Keywords

Monte Carlovariance reductionAsian optionderivative pricing

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Multigrid methods; domain decomposition for initial value and initial-boundary value problems involving PDEs (65M55)

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Multilevel hybrid Chernoff tau-leap ⋮ A low-rank control variate for multilevel Monte Carlo simulation of high-dimensional uncertain systems ⋮ Multifidelity approaches for optimization under uncertainty ⋮ Bi-fidelity approximation for uncertainty quantification and sensitivity analysis of irradiated particle-laden turbulence ⋮ A Multilevel Adaptive Reaction-splitting Simulation Method for Stochastic Reaction Networks ⋮ Multifidelity Monte Carlo Estimation with Adaptive Low-Fidelity Models

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